quarks (version 1.0.2)

hs: Nonparametric calculation of univariate Value at Risk and Expected Shortfall

Description

Computes Value at Risk and Expected Shortfall by means of plain and age- weighted historical simulation

Usage

hs(x, p = 0.95, method = c("age", "plain"), lambda = 0.98)

Arguments

x

a numeric vector of asset returns

p

confidence level for VaR calculation; default is 0.95%

method

method to be used for calculation; default is 'plain'

lambda

decay factor for the calculation of weights; default is 0.98

Value

Returns a list with the following elements:

VaR

Calculated Value at Risk

ES

Calculated Expected Shortfall

Examples

# NOT RUN {
prices <- DAX30$price.close
returns <- diff(log(prices))
hs(x = returns, p = 0.95, method = 'plain')
hs(x = returns, p = 0.95, method = 'age', lambda = 0.98)
# }